Benchmark Beating with the Increasing Convex Order
Portfolio Management
2023-11-06 v1 Mathematical Finance
Abstract
In this paper we model benchmark beating with the increasing convex order (ICX order). The mean constraint in the mean-variance theory of portfolio selection can be regarded as beating a constant. We then investigate the problem of minimizing the variance of a portfolio with ICX order constraints, based on which we also study the problem of beating-performance-variance efficient portfolios. The optimal and efficient portfolios are all worked out in closed form for complete markets.
Keywords
Cite
@article{arxiv.2311.01692,
title = {Benchmark Beating with the Increasing Convex Order},
author = {Jianming Xia},
journal= {arXiv preprint arXiv:2311.01692},
year = {2023}
}